Table of Contents

Supervisor’s Certificate

Declaration

Acknowledgement

Table of contents

List of Tables

List of Figures

List of Abbreviations

Chapter 1 Introduction 1-43

1.1 Problem Statement 1

1.2 Derivatives 3

1.3.1 History of Global Derivatives Markets 4

1.3.2 History of Indian Derivatives Markets 5

1. 4 Reasons for the Rapid Growth of Derivatives markets 10

1.5 Derivatives and Risk Management 11

1.6 Participants in Derivatives Market 13

1.7 Derivative Products 15

1.8 Functions of Futures Market 18

1.9 Market Efficiency 19

1.10 Price Discovery 23

1.11 Theoretical Framework of Futures Contracts’ Pricing 24

1.11.1 Pricing Investment Assets 27

1.11.2 Pricing Consumption Assets 28

1.12 Inter-Market Relationship 29

1.12.1 Relationships between Equity, Currency, Commodity and Bond Markets 31

1.12.1.1 Commodity versus Bonds 32

1.12.1.2 Bonds versus Stocks 32

1.12.1.3 Commodities versus Currency (U.S. Dollar) 33

1.12.1.4 Currency (Dollar) versus Stocks 33

1.12.1.5 Commodities versus Stocks 34

1.13 Regulatory Environment 34

1.13.1 Stages in Futures Trading 36

1.13.2 Trading and Settlement Mechanism of National Stock Exchange 36

1.13.3 Trading Mechanism of Multi Commodity Exchange 41

Chapter 2 An Overview of Futures Market in India 44-70

2.1 Equity Segment 44

2.1.1 The Bombay Stock Exchange (BSE) 44

2.1.2 The National Stock Exchange of India Limited (NSE) 45

2.1.3 The MCX Stock Exchange Limited (MCX-SX) 45

2.2 Currency Segment 53

2.3 Commodity Segment 57

2.3.1 Growth, Size and Development of Individual Commodity Exchange 61

2.3.1 .1 Multi Commodity Exchange of India Limited (MCX) 61

2.3.1.1.1 Indexes of MCX 63

2.3.1.2 National Commodity & Derivatives Exchange Limited (NCDEX) 65

2.3.1.3 National Multi Commodity Exchange of India (NMCE) 65

2.3.1.4 Indian Commodity Exchange Limited (ICEX) 66

2.3.1.5 ACE Derivatives and Commodity Exchange Limited 67

2.3.1.6 Universal Commodity Exchange Limited 68

2.3.1.7 Recognized Regional Commodity Exchanges in India 69

Chapter 3 Review of Literature 71-119

3.1 Price Discovery in Equity Segment 71

3.2 Price Discovery in Currency Segment 80

3.3 Price Discovery in Commodity Segment 83

3.4 Reasons for Price Discovery 92

3.5 Relationship between Commodity and Equity Markets 94

3.6 Relationship between Currency and Equity Markets 98

3.7 Relationship between Commodity and Currency Markets 109

3.8 Relationship between Equity, Commodity and Currency Markets 115

Chapter 4 Research Methodology 120-134

4.1 Objectives of the Study 120

4.2 Null Hypotheses of the Study 120

4.3 Research Design 121

4.3.1 Universe and Sample of the Study 122

4.3.2 Data and Methodology of the Study 123

4.3.2.1 Equity Segment 123

4.3.2.2 Currency Segment 124

4.3.2.3 Commodity Segment 124

4.3.3 Methodology/ Data Analysis Techniques 124

4.3.3.1 Analysis Pattern 125

4.3.3.2 Financial Modeling of Returns 126

4.3.3.3 Stationarity Test 126

4.3.3.4 Cointegartion Test 128

4.3.3.4.1 Engle and Granger Technique 128

4.3.3.4.2 Johansen Cointegration Test 129

4.3.3.5 Vector Error-Correction Model 131

4.3.3.6 Vector Autoregressive Model 132

4.3.3.7 Block Significance and Causality Tests 133

Chapter 5 Data Analysis and Interpretation 135-235

5.1 Basic Features of Data 135

5.1.1 Basic Features of Data in Equity Segment 136

5.1.2 Basic Features of Data in Currency Segment 147

5.1.3 Basic Features of Data in Commodity Segment 156

5.2 Objective 1: To examine the price discovery efficiency of Indian equity 165

futures market and equity spot market.

5.3 Objective 2: To investigate the price discovery efficiency of Indian currency 188

futures market and currency spot market.

5.4 Objective 3: To study the price discovery efficiency of Indian commodity 203

futures market and commodity spot market.

5.5 Objective 4: To examine the relationship among equity, currency and 216

commodity markets.

5.5.1 Relationship among Equity, Currency and Commodity Markets In Futures

Segment 217

5.5.2 Relationship among Equity, Currency and Commodity Markets in

Spot Segment. 226

Chapter 6 Conclusions and Recommendations 236-249

6.1 Price Discovery Efficiency in Futures and Spot Market 237

6.1.1 Price Discovery in Equity Market 237

6.1.2 Price Discovery in Currency Market 240

6.1.3 Price Discovery in Commodity Market 242

6.2.1 Inter-Relationship among Equity, Currency and Commodity Futures Markets244

6.2.2 Inter-Relationship among Equity, Currency and Commodity Spot Markets 246

6.3 Suggestions of the Study 246

6.4 Limitations and Scope for Further Research 249

References 250-267

Appendices 268-274

List of Tables

Chapter 1 Introduction

Table 1.1: Derivatives in India: a Chronology 8

Chapter 2 An Overview of Futures Market in India

Table 2.1: Trends in Turnover and Open Interest in Equity Derivatives

Segment of NSE and BSE 46

Table 2.2: Trends in Turnover and Open Interest in Equity Derivatives

Segment of MCX-SX 47

Table 2.3: Trends in Turnover in Equity Cash Segment 49

Table 2.4: Turnover in BSE and NSE 50

Table 2.5: Product-Wise Derivatives Turnover at NSE, BSE and MCX-SX 51

Table 2.6: Trends in No. of Contracts Traded, Turnover and Open Interest in

Currency Derivatives 55

Table 2.7: Product-Wise Market Share in Currency Derivatives Volume

(In percent) 56

Table 2.8: Percentage Share of Indian Commodity Exchanges in Total Value of

Commodities Traded 58

Table 2.9: Segment Wise Value of Trade of Indian Commodity Exchanges

(Value in Crore) 59

Table 2.10: Volume of Trading and Value of Trade during the Year 2013-14

in Major Commodities (Volume of Trading - In lakh tonne, Value - In Rs. Crore) 60

Table 2.11: Composition of the MCXCOMDEX Index

64

Chapter 4 Research Methodology

Table 4.1: Time Period and No. of Observations of Selected Equity Indexes 123

Table 4.2: Time Period and No. of Observations of Selected Exchange Rates 124

Table 4.3: Time Period and No. of Observations of Selected Commodity Indexes 124

Chapter 5 Data Analysis and Interpretation

Table 5.1: Descriptive Statistics of Equity Indexes’ Prices 146

Table 5.2: Descriptive Statistics of Currency Exchange Rates 155

Table 5.3: Descriptive Statistics of Commodity Indexes’ Prices 163

Table 5.4: ADF Unit Root Test Results of Equity Indexes Future and Spot Prices 166

Table 5.5: PP Unit Root Test Results of Equity Indexes Future and Spot Prices 167

Table 5.6: Residual Series Unit Root Test Results of Equity Indexes 173

Table 5.7: VAR Model Lag Order Selection Criteria Results (S&P CNX Nifty) 174

Table 5.8: VAR Model Lag Order Selection Criteria Results (CNX IT) 175

Table 5.9: VAR Model Lag Order Selection Criteria Results (Bank Nifty) 175

Table 5.10: VAR Model Lag Order Selection Criteria Results (Nifty Midcap) 175

Table 5.11: VAR Model Lag Order Selection Criteria Results (CNX PSE) 176

Table 5.12: VAR Model Lag Order Selection Criteria Results (CNX INFRA) 176

Table 5.13: Cointegration Test Results of Equity Indexes (Trace Statistics) 177

Table 5.14: Cointegration Test Result of Equity Indexes (Maximum Eigen Value) 178

Table 5.15: VECM Long Run Causality Results of Equity Indexes 180

Table 5.16: VECM Short Run Causality Results (S&P CNX NIFTY) 181

Table 5.17: VECM Short Run Causality Results (CNX IT) 182

Table 5.18: VECM Short Run Causality Results (Bank Nifty) 182

Table 5.19: VECM Short Run Causality Results (Nifty Midcap) 183

Table 5.20: VECM Short Run Causality Results (CNX PSE) 184

Table 5.21: VECM Short Run Causality Results (CNX INFRA) 184

Table 5.22: VEC Granger Causality/Block Exogeneity Wald Test Results of

Equity Indexes 186

Table 5.23: ADF Unit Root Test Results of Future and Spot Exchange Rates 189

Table 5.24: PP Unit Root Test Results of Future and Spot Exchange Rates 190

Table 5.25: Residual Series Unit Root Test Results of Currency Exchange Rates 194

Table 5.26: VAR Model Lag Order Selection Criteria Results (USD/INR) 194

Table 5.27: VAR Model Lag Order Selection Criteria Results (GBP/INR) 195

Table 5.28: VAR Model Lag Order Selection Criteria Results (JPY/INR) 195

Table 5.29: VAR Model Lag Order Selection Criteria Results (EURO/INR) 195

Table 5.30: Cointegration Test Results of Currency Exchange Rates

(Trace Statistics) 196

Table 5.31: Cointegration Test Results Currency Exchange Rates (Max Eigen

Statistics) 197

Table 5.32: VECM Long Run Causality Results of Currency Exchange Rates 197

Table 5.33: VECM Short Run Causality Results (USD/INR) 198

Table 5.34: VECM Short Run Causality Results (GBP/INR) 199

Table 5.35: VECM Short Run Causality Results (JPY/INR) 200

Table 5.36: VECM Short Run Causality Results (EURO/INR) 200

Table 5.37: VEC Granger Causality/Block Exogeneity Wald Test Results of

Currency Exchange Rates 202

Table 5.38: ADF Unit Root Test Results of Commodity Indexes’ Future and Spot

Prices 204

Table 5.39: PP Unit Root Test Results of Commodity Indexes’ Future and

Spot Prices 205

Table 5.40: Residual Series Unit Root Test Results of Commodity Indexes 209

Table 5.41: VAR Model Lag Order Selection Criteria Results (MCXCOMDEX) 209

Table 5.42: VAR Model Lag Order Selection Criteria Results (MCXAGRI) 210

Table 5.43: VAR Model Lag Order Selection Criteria Results (MCXENERGY) 210

Table 5.44: VAR Model Lag Order Selection Criteria Results (MCXMETAL) 210

Table 5.45: Cointegration Test Results of Commodity Indexes (Trace Statistics) 211

Table 5.46: Cointegration Test Results of Commodity Indexes (Max- Eigen value)211

Table 5.47: VECM Long Run Causality Results of Commodity Indexes 212

Table 5.48: VECM Short Run Causality Results (MCX COMDEX) 213

Table 5.49: VECM Short Run Causality Results (MCX ENERGY) 214

Table 5.50: VECM Short Run Causality Results (MCX METAL) 214

Table 5.51: VAR/VEC Granger Causality/Block Exogeneity Wald Test Results 215

of Commodity Indexes

Table 5.52: Unit Root Test Results of Nifty, COMDEX Indexes and USD/INR

Exchange Rates in Future Market 219

Table 5.53: VAR Lag Selection Criteria Results of Nifty, COMDEX Indexes and

USD/INR Exchange Rates in Future Market 221

Table 5.54: Cointegration Test Results of Nifty, COMDEX Indexes and

USD/INR Exchange Rates in Future Market (Trace Statistics) 221

Table 5.55: Cointegration Test Results of Nifty, COMDEX Indexes and

USD/INR Exchange Rates in Future Market (Max- Eigen Statistics) 222

Table 5.56: VAR Short Run Causality Results of Nifty, COMDEX Indexes and

USD/INR Exchange Rates in Future Market 224

Table 5.57: VAR Granger Causality/Block Exogeneity Wald Test Results of

Nifty, COMDEX Indexes and USD/INR Exchange Rates in Future Market 225

Table 5.58: Unit Root Test Results of Nifty, COMDEX Indexes and USD/INR

Exchange Rates in Spot Market 228

Table 5.59: VAR Lag Selection Criteria Results of Nifty, COMDEX Indexes

and USD/INR Exchange Rates in Spot Market 230

Table 5.60: Cointegration Test Results of Nifty, COMDEX Indexes and

USD/INR Exchange Rates in Spot Market (Trace Statistics) 231

Table 5.61: Cointegration Test Results of Nifty, COMDEX Indexes and

USD/INR Exchange Rates in Spot Market (Max- Eigen Statistics) 231

Table 5.62: VAR Short Run Causality Results of Nifty, COMDEX Indexes and

USD/INR Exchange Rates in Spot Market 232

Table 5.63: VAR Granger Causality/Block Exogeneity Wald Test Results

Of Nifty, COMDEX Indexes and USD/INR Exchange Rates in Spot Market 233

Chapter 6 Conclusions and Recommendations

Table 6.1: Long Run Causality Results of Equity Market 239

Table 6.2: Short Run Causality Results of Equity Market 240

Table 6.3: Long Run Causality Results of Currency Market 241

Table 6.4: Short Run Causality Results of Currency Market 242

Table 6.5: Long Run Causality Results of Commodity Market 243

Table 6.6: Short Run Causality Results of Commodity Market 244

Table 6.7: Relationship among Equity, Currency and Commodity

Futures Markets 245

Table 6.8: Relationship among Equity, Currency and Commodity Spot Markets 246

List of Figures

Chapter 1 Introduction

Figure 1.1 Economic Rationale/ Framework 31

Figure 1.2 Relationships between Equity, Currency, Commodity

and Bond Markets 31

Figure 1.3 Clearing and Settlement Mechanism 39

Chapter 2 An Overview of Futures Market in India

Chart 2.1: Turnover in BSE and NSE 50

Chart 2.2: Exchange Wise Share in Equity Future Turnover during 2013-14 (in

Percentage) 51

Chart 2.3: Product-Wise Market Share in Currency Futures Volume (In Percent) 56

Chart 2.4: Commodity Exchanges Turnover 57

Chart 2.5: Year Wise Traded Contracts on MCX 62

Chart 2.6: Year Wise Value of Traded contracts on MCX 62

Chart 2.7: Percentage Share of the Value of the Commodities Traded at

MCX, Mumbai (2013-14) 63

Chart 2.8: Percentage Share of the Value of the Commodities Traded at NCDEX,

Mumbai (2013-14) 65

Chart 2.9: Percentage Share of the Value of the Commodities Traded at NMCE,

Ahmedabad (2013-14) 66

Chart 2.10: Percentage Share of the Value of the Commodities Traded at ICEX,

Mumbai (2013-14) 67

Chart 2.11: Percentage Share of the Value of the Commodities Traded at ACE,

Mumbai (2013-14) 68

Chart 2.12: Percentage Share of the Value of the Commodities Traded at

UCX, New Mumbai (2013-14) 69

Chapter 5 Data Analysis and Interpretation

Graph 5.1: Movements in Nifty Future Daily Prices 136

Graph 5.2: Movements in Nifty Spot Daily Prices 136

Graph 5.3: Comparison of Movements between Nifty Future and Spot Daily Prices137

Graph 5.4: Movements in CNX IT Future Daily Prices 138

Graph 5.5: Movements in CNX IT Spot Daily Prices 138

Graph 5.6: Comparison of Movements between CNX IT Future and Spot

Daily Prices 139

Graph 5.7: Movements in Bank Nifty Future Daily Prices 140

Graph 5.8: Movements in Bank Nifty Spot Daily Prices 140

Graph 5.9: Comparison of Movements between Bank Nifty Future and

Spot Daily Prices 140

Graph 5.10: Movements in Nifty Midcap Future Daily Prices 141

Graph 5.11: Movements in Nifty Midcap Spot Daily Prices 141

Graph 5.12: Comparison of Movements between Nifty Midcap Future and

Spot Daily Prices 142

Graph 5.13: Movements in CNX PSE Future Daily Prices 142

Graph 5.14: Movements in CNX PSE Spot Daily Prices 143

Graph 5.15: Comparison of Movements between CNX PSE Future and

Spot Daily Prices 143

Graph 5.16: Movements in CNX INFRA Future Daily Prices 144

Graph 5.17: Movements in CNX INFRA Spot Daily Prices 144

Graph 5.18: Comparison of Movements between CNX INFRA Future and

Spot Daily Prices 144

Graph 5.19: Movements in USD/INR Future Daily Exchange Rates 148

Graph 5.20: Movements in USD/INR Spot Daily Exchange Rates 148

Graph 5.21: Comparison of Movements between USD/INR Future and

Spot Daily Exchange Rates 148

Graph 5.22: Movements in EURO/INR Future Daily Exchange Rates 149

Graph 5.23: Movements in EURO/INR Spot Daily Exchange Rates 150

Graph 5.24: Comparison of Movements between EURO/INR Future and

Spot Daily Exchange Rates 150

Graph 5.25: Movements in GBP/INR Future Daily Exchange Rates 151

Graph 5.26: Movements in GBP/INR Spot Daily Exchange Rates 151

Graph 5.27: Comparison of Movements between GBP/INR Future and

Spot Daily Exchange Rates 152

Graph 5.28: Movements in JPY/INR Future Daily Exchange Rates 153

Graph 5.29: Movements in JPY/INR Spot Daily Exchange Rates 153

Graph 5.30: Comparison of Movements between JPY/INR Future and

Spot Daily Exchange Rates 153

Graph 5.31: Movements in MCX AGRI Future Daily Prices 156

Graph 5.32: Movements in MCX AGRI Spot Daily Prices 157

Graph 5.33: Comparison of Movements between MCX AGRI Future and

Spot Daily Prices 157

Graph 5.34: Movements in MCX COMDEX Future Daily Prices 158

Graph 5.35: Movements in MCX COMDEX Spot Daily Prices 158

Graph 5.36: Comparison of Movements between MCX COMDEX Future

and Spot Daily Prices 159

Graph 5.37: Movements in MCX ENERGY Future Daily Prices 159

Graph 5.38: Movements in MCX ENERGY Spot Daily Prices 160

Graph 5.39: Comparison of Movements between MCX ENERGY Future

and Spot Daily Prices 160

Graph 5.40: Movements in MCX METAL Future Daily Prices 161

Graph 5.41: Movements in MCX METAL Spot Daily Prices 161

Graph 5.42: Comparison of Movements between MCX METAL Future and

Spot Daily Prices 161

Graph 5.43: Movements in Nifty Future Returns 168

Graph 5.44: Movements in Nifty Spot Returns 168

Graph 5.45: Movements in CNX IT Future Returns 169

Graph 5.46: Movements in CNX IT Spot Returns 169

Graph 5.47: Movements in Bank Nifty Future Returns 169

Graph 5.48: Movements in Bank Nifty Spot Returns 170

Graph 5.49: Movements in Midcap Future Returns 170

Graph 5.50: Movements in Midcap Spot Returns 170

Graph 5.51: Movements in CNX INFRA Future Returns 171

Graph 5.52: Movements in CNX INFRA Spot Returns 171

Graph 5.53: Movements in CNX PSE Future Returns 171

Graph 5.54: Movements in CNX PSE Spot Returns 172

Graph 5.55: Movements in USD/INR Future Exchange Rate Returns 190

Graph 5.56: Movements in USD/INR Spot Exchange Rate Returns 191

Graph 5.57: Movements in EURO/INR Future Exchange Rate Returns 191

Graph 5.58: Movements in EURO/INR Spot Exchange Rate Returns 191

Graph 5.59: Movements in JPY/INR Future Exchange Rate Returns 192

Graph 5.60: Movements in JPY/INR Spot Exchange Rate Returns 192

Graph 5.61: Movements in GBP/INR Future Exchange Rate Returns 192

Graph 5.62: Movements in GBP/INR Spot Exchange Rate Returns 193

Graph 5.63: Movements in MCX COMDEX Future Returns 205

Graph 5.64: Movements in MCX COMDEX Spot Returns 206

Graph 5.65: Movements in MCX AGRI Future Returns 206

Graph 5.66: Movements in MCX AGRI Spot Returns 206

Graph 5.67: Movements in MCX ENERGY Future Returns 207

Graph 5.68: Movements in MCX ENERGY Spot Returns 207

Graph 5.69: Movements in MCX METAL Future Returns 207

Graph 5.70: Movements in MCX METAL Spot Returns 208

Graph 5.71: Movements in Nifty Future Daily Prices (29/8/2008 to 30/9/2013) 217

Graph 5.72: Movements in USD/INR Future Exchange Rates

(29/8/2008 to 30/9/2013) 218

Graph 5.73 Movements in COMDEX Future Prices (29/8/2008 to 30/9/2013) 218

Graph 5.74 Movements in Nifty, COMDEX Future Prices and USD/INR Future

Exchange Rates (29/8/2008 to 30/9/2013) 218

Graph 5.75 Movements in Nifty Futures Returns 220

Graph 5.76: Movements in USD/INR Futures Exchange Rate Returns 220

Graph 5.77: Movements in MCX COMDEX Futures Returns 220

Graph 5.78: Movements in Nifty Spot Prices (29/8/2008 to 30/9/2013) 227

Graph 5.79: Movements in USD/INR Spot Exchange Rates

(29/8/2008 to 30/9/2013) 227

Graph 5.80: Movements in MCX COMDEX Spot Prices

(29/8/2008 to 30/9/2013) 227

Graph 5.81: Movements in Nifty Spot Prices, USD/INR Spot Exchange

Rates and MCX COMDEX Spot Prices (29/8/2008 to 30/9/2013) 228

Graph 5.82: Movements in Nifty Spot Returns (29/8/2008 to 30/9/2013) 229

Graph 5.83: Movements in USD/INR Spot Exchange Rate Returns

(29/8/2008 to 30/9/2013) 229

Graph 5.84: Movements in MCX COMDEX Spot Returns

(29/8/2008 to 30/9/2013) 230

List of Abbreviations

ACE Ahmedabad Commodity Exchange

ADF Augmented Dickey Fuller

AIC Akaike information criterion

ARDL Autoregressive Distributed Lag

ARMA Autoregressive Moving Average

BSE Bombay Stock Exchange

CBOT Chicago Board of Trade

CDSL Central Depository Services (India) Ltd.

Chi-Sq Chi- Square

CME Chicago Mercantile Exchange

CMs Clearing Members

COMEX Commodity Exchange

CPI Consumer Price Index

Df Degree of Freedom

DJIA Dow Jones Industrial Average

DTB Deutsche Terminborse

ECM Error Correction Model

ERPT Exchange Rate Pass-Through

ETF Exchange-Traded Fund

EUR Euro

FCVAR Fractionally Cointegrated Vector Autoregressive

FIA Federal Investigation Agency

FMC Forward Markets Commission

FPE Final Prediction Error

FTIL Financial Technologies (India) Ltd

GARCH Generalized Auto- Regressive Conditional Heteroskedasticity

GBP Great Britain Pound

GOI Government of India

HQ Hannan-Quinn information criterion

ICEX Indian Commodity Exchange

IMF International Monetary Fund

IMM International Monetary Market

Infra CNX Infrastructure Index

INR Indian Rupee

ISO Internationalization Organization for Standardization

JCI Jakarta Composite Index

JPY Japanese Yen

JSE Johannesburg Stock Exchange

LEAPS Long-Term Equity Anticipation Securities

LIFFE London International Financial Futures Exchange

LME London Metal Exchange

MATIF Marche a Terme International de France

MCX Multi Commodity Exchange of India

MCX-SX Multi Commodity Stock Exchange

M-GARCH Multivariate Generalized Autoregressive Conditional Heteroskedasticity

MMI Major Market Index

NCDEX National Commodity and Derivatives Exchange

NEAT National Exchange For Automated Trading

NMCE National Multi Commodity Exchange

NSCCL National Securities Clearing Corporation Ltd.

NSDL National Securities Depository Ltd.

NSE National Stock Exchange

NYSE New York Stock Exchange

OECD Organization for Economic Corporation and Development

OLS Ordinary Least Square

OTC Over the Counter

PCMs Professional Clearing Members

PP Phillips Perron

PPI Producer Price Index

Prob. Probability

PSE Public Sector Enterprises

PSTR Panel Smooth Transition Regression

RBI Reserve Bank of India

RPF Risk Parameter File

SC Schwarz criterion

SCRA Securities Contracts (Regulation) Act

SEBI Securities Exchange Board of India

SEM Simultaneous Equation Model

SGX Singapore Exchange

SHFE Shanghai Futures Exchange

SIMEX Singapore International Monetary Exchange

Std. Error Standard Error

TIFFE Tokyo International Financial Futures Exchange

TVAR Threshold Vector Autoregression

TWS Trader Work Station

UCX Universal Commodity Exchange

UK United Kingdom

UNCTAD United Nations Conference on Trade and Development

US United States

USD Us Dollars

USE United Stock Exchange

VaR Value at Risk

VAR Vector Auto Regression Model

VAR-

EGARCH

Value at Risk-Exponential Generalized autoregressive Conditional

Heteroskedasticity

VECM Vector Error Correction Model

WTI West Texas Intermediate

Chapter 1

Introduction

Chapter 2

An Overview of Futures

Market in India

Chapter 3

Review of Literature

Chapter 4

Research Methodology

Chapter 5

Data Analysis and

Interpretation

Chapter 6

Conclusions

and

Recommendations

References

Appendices